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Investments (Tables)

9 Months Ended

Sep. 30, 2020

Amortized cost, gross unrealized gains and losses and fair value of fixed income securities

The amortized cost, gross unrealized gains and losses, and fair value of investments in fixed income securities classified as available-for-sale at September 30, 2020 and December 31, 2019 are shown in tables 7.1a and 7.1b below.


Details of fixed income securities by category as of September 30, 2020
Table	7.1a

(In thousands)		Amortized Cost		Allowance for Expected Credit Loss		Gross Unrealized Gains		Gross Unrealized (Losses)		Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	347,249	$	—	$	1,513	$	(15)	$	348,747
Obligations of U.S. states and political subdivisions		1,886,910		—		146,562		(891)		2,032,581
Corporate debt securities		2,627,745		—		144,646		(2,748)		2,769,643
Asset backed securities (“ABS”)		201,731		(362)		3,472		(145)		204,696
Residential mortgage backed securities (“RMBS”)		398,934		—		6,106		(1,147)		403,893
Commercial mortgage backed securities (“CMBS”)		258,579		—		13,791		(846)		271,524
Collateralized loan obligations (“CLOs”)		312,068		—		—		(2,975)		309,093
Debt securities issued by foreign sovereign governments		4,485		—		56		—		4,541
Total fixed income securities		$	6,037,701	$	(362)	$	316,146	$	(8,767)	$	6,344,718


Details of fixed income securities by category as of December 31, 2019
Table	7.1b

(In thousands)		Amortized Cost		Gross Unrealized Gains		Gross Unrealized (Losses) (1)		Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	195,176	$	1,237	$	(210)	$	196,203
Obligations of U.S. states and political subdivisions		1,555,394		99,328		(857)		1,653,865
Corporate debt securities		2,711,910		76,220		(3,008)		2,785,122
ABS		227,376		2,466		(178)		229,664
RMBS		271,384		429		(3,227)		268,586
CMBS		274,234		5,531		(779)		278,986
CLOs		327,076		33		(1,643)		325,466
Total fixed income securities		$	5,562,550	$	185,244	$	(9,902)	$	5,737,892

(1)At December 31, 2019 there was no other-than-temporary impairment losses recorded in other comprehensive income.

Amortized cost and fair values of fixed income securities by contractual maturity

The amortized cost and fair values of fixed income securities at September 30, 2020, by contractual maturity, are shown in table 7.2 below. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Because most ABS, RMBS, CMBS, and CLOs provide for periodic payments throughout their lives, they are listed in separate categories.


Fixed income securities maturity schedule
Table	7.2
		September 30, 2020
(In thousands)		Amortized cost		Fair Value
Due in one year or less		$	437,605	$	440,557
Due after one year through five years		1,993,330		2,077,983
Due after five years through ten years		1,152,214		1,256,504
Due after ten years		1,283,240		1,380,468
		4,866,389		5,155,512

ABS		201,731		204,696
RMBS		398,934		403,893
CMBS		258,579		271,524
CLOs		312,068		309,093
Total as of September 30, 2020		$	6,037,701	$	6,344,718

Cost and fair value of investments in equity securities

The cost and fair value of investments in equity securities at September 30, 2020 and December 31, 2019 are shown in tables 7.3a and 7.3b below.


Details of equity security investments as of September 30, 2020
Table	7.3a

(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	17,486	$	587	$	(13)	$	18,060


Details of equity security investments as of December 31, 2019
Table	7.3b

(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	17,188	$	154	$	(14)	$	17,328

Aging of the fair values of securities in an unrealized loss position

Tables 7.4a and 7.4b below summarize, for all available-for-sale investments in an unrealized loss position at September 30, 2020 and December 31, 2019, the aggregate fair value and gross unrealized loss by the length of time those securities have been continuously in an unrealized loss position. The fair value amounts reported in tables 7.4a and 7.4b are estimated using the process described in Note 8 - “Fair Value Measurements” to these consolidated financial statements and in Note 3 - “Significant Accounting Policies” of the notes to the consolidated financial statements in our 2019 Annual Report on Form 10-K.


Unrealized loss aging for securities by type and length of time as of September 30, 2020
Table	7.4a

		Less Than 12 Months				12 Months or Greater				Total
(In thousands)		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	5,004	$	(15)	$	—	$	—	$	5,004	$	(15)
Obligations of U.S. states and political subdivisions		72,620		(891)		—		—		72,620		(891)
Corporate debt securities		263,665		(2,748)		—		—		263,665		(2,748)
ABS		17,505		(145)		—		—		17,505		(145)
RMBS		128,358		(1,028)		3,886		(119)		132,244		(1,147)
CMBS		13,065		(707)		1,338		(139)		14,403		(846)
CLOs		159,553		(1,271)		149,540		(1,704)		309,093		(2,975)
Total		$	659,770	$	(6,805)	$	154,764	$	(1,962)	$	814,534	$	(8,767)


Unrealized loss aging for securities by type and length of time as of December 31, 2019
Table	7.4b

		Less Than 12 Months				12 Months or Greater				Total
(In thousands)		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	57,301	$	(200)	$	5,806	$	(10)	$	63,107	$	(210)
Obligations of U.S. states and political subdivisions		74,859		(847)		6,957		(10)		81,816		(857)
Corporate debt securities		221,357		(2,847)		43,505		(161)		264,862		(3,008)
ABS		21,542		(118)		3,851		(60)		25,393		(178)
RMBS		105,443		(461)		110,452		(2,766)		215,895		(3,227)
CMBS		62,388		(728)		11,852		(51)		74,240		(779)
CLOs		81,444		(225)		196,988		(1,418)		278,432		(1,643)
Total		$	624,334	$	(5,426)	$	379,411	$	(4,476)	$	1,003,745	$	(9,902)

Available-for-sale allowance for credit loss rollforward

Table 7.5 below presents a rollforward of the changes in allowance for credit losses on available-for-sale fixed maturity securities by major security type for the period end September 30, 2020:


Rollforward of Allowance for Credit Allowance
Table	7.5

(In thousands)		Asset Backed Securities
Balance at December 31, 2019 and June 30, 2020		$	—
Additions for expected credit allowance where no credit losses were previously recognized.		362
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized.		—
Reductions due to sales/defaults of credit-impaired securities		—
Reductions for impairments of securities which the Company intends to sell or more likely than not will be required to sell		—
Balance at September 30, 2020		$	362